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Les déterminants du coût du capital des petites capitalisations : application aux segments B et C de la Bourse de Paris

Editor

Listed:
  • Batsch, Laurent

Author

Listed:
  • Marrot, Olivier

Abstract

The small capitalizations’ specificity (the size effect), has been in the centre of finance researches for many years; Only a few studies focus however on this segment. This research deals with companies of Euronext Paris lists B and C over the years 1994-2004. The APT model, with the use of specific attributes such as sensitivities to the risks affecting stock returns, balance the weak significativity of betas. In accordance with literature on “anomalies”, price-to-book ratio, financial leverage, momentum yield, distress’ situations as well as size influence small capitalizations’ stock returns. The stock coverage by “sell-side” analysts appreciably improves the model’s quality by conferring a significant explanatory power to fundamental variables. The realization of abnormal returns with these public informations throws back the assumption of informational efficiency on this segment.

Suggested Citation

  • Marrot, Olivier, 2008. "Les déterminants du coût du capital des petites capitalisations : application aux segments B et C de la Bourse de Paris," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/121 edited by Batsch, Laurent, June.
  • Handle: RePEc:dau:thesis:123456789/121
    Note: dissertation
    as

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    More about this item

    Keywords

    Euronext Paris; Rentabilité; Valeurs mobilières; Coût du capital;

    JEL classification:

    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
    • G1 - Financial Economics - - General Financial Markets

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